Time-varying crash risk embedded in index options : the role of stock market liquidity
Year of publication: |
2021
|
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Authors: | Christoffersen, Peter F. ; Feunou, Bruno ; Jeon, Yoontae ; Ornthanalai, Chayawat |
Published in: |
Review of finance : journal of the European Finance Association. - Oxford : Oxford University Press, ISSN 1875-824X, ZDB-ID 2214390-7. - Vol. 25.2021, 4, p. 1261-1298
|
Subject: | Option-implied crash risk | Market liquidity | Jump intensity | Filtering | Theorie | Theory | Finanzkrise | Financial crisis | Marktliquidität | Aktienmarkt | Stock market | Volatilität | Volatility | Liquidität | Liquidity |
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